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- YAMAMOTO Yohei
- Graduate School of Economics
- YAMAMOTO Yohei
Paper
| 1. | Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model(jointly worked) Quantitative Economics Vol.11,pp.1019-1057 2020 Academic journal ISSN 1759-7323  |
|---|---|
| 2. | Testing for Changes in Forecasting Performance(jointly worked) forthcoming in Journal of Business and Economic Statistics 2019 Academic journal ISSN 0735-0015 |
| 3. | The Exchange Rate Effects of Macro News after the Global Financial Crisis(jointly worked) Journal of International Money and Finance Vol.95,pp.424-443 2019 Academic journal ISSN 0261-5606 |
| 4. | Pitfalls of Two-Step Testing for Changes in the Error Variance and Coefficients of a Linear Regression Model(jointly worked) Econometrics Vol.7,No.2,pp.1-22 2019 Academic journal ISSN 2225-1146 |
| 5. | Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions Journal of Applied Econometrics Vol.34,No.2,pp.247-267 2019 Academic journal ISSN 0883-7252 |
| 6. | A Modified Confidence Set for the Structural Break Date in Linear Regression Models Econometric Reviews Vol.37,No.9,pp.974-999 2018 Academic journal ISSN 0747-4938 |
| 7. | Is the Renminbi a Safe Haven?(jointly worked) Journal of International Money and Finance Vol.79,pp.189-202 2017 Academic journal ISSN 0261-5606 |
| 8. | Intra-Safe Haven Currency Behavior During the Global Financial Crisis(jointly worked) Journal of International Money and Finance Vol.66,pp.49-64 2016 Academic journal ISSN 0261-5606 |
| 9. | On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests(jointly worked) Econometric Reviews Vol.35,No.5,pp.782-844 2016 Academic journal ISSN 0747-4938 |
| 10. | Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series Journal of Business and Economic Statistics Vol.34,No.1,pp.81-106 2016 Academic journal ISSN 0735-0015 |
| 11. | Testing for Factor Loading Structural Change Under Common Breaks(jointly worked) Journal of Econometrics Vol.189,No.1,pp.187-206 2015 Academic journal ISSN 0304-4076 |
| 12. | Confidence Sets for the Break Date Based on Optimal Tests(jointly worked) The Econometrics Journal Vol.18,No.3,pp.412-435 2015 Academic journal ISSN 1368-4221 |
| 13. | Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors(jointly worked) Journal of Applied Econometrics Vol.30,pp.119-144 2015 Academic journal ISSN 0883-7252 |
| 14. | On Structural Change and Forecasting Performance Stability of Japanese Phillips Curve Models (in Japanese) Journal of the Japan Statistical Society Vol.44,No.1,pp.75-95 2014 Academic journal ISSN 0389-5602 |
| 15. | Large Versus Small Foreign Exchange Interventions(jointly worked) Journal of Banking and Finance Vol.43,pp.114-123 2014 Academic journal ISSN 0378-4266 |
| 16. | A Note on Estimating and Testing for Multiple Structural Changes in Models with Endogenous Regressors via 2SLS(jointly worked) Econometric Theory Vol.30,No.2,pp.491-507 2014 Academic journal ISSN 0266-4666 |
| 17. | Estimating and Testing Multiple Structural Changes in Linear Models Using Band Spectral Regressions(jointly worked) Econometrics Journal Vol.16,No.3,pp.400-429 2013 Academic journal ISSN 1368-4221 |
Other
| 1. | Reserves and Risk: Evidence from China(jointly worked) Federal Reserve Bank of Dallas, Globalization Institute Working Paper 387 2020 Other  |
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| 2. | The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence(jointly worked) HIAS Discussion Paper E-90 2019 Bulletin of university, institute, etc.  |
| 3. | Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields(jointly worked) Bank of Japan IMES Discussion Paper Series 2019-E-2 2019 Other |
| 4. | Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances HIAS(Hitotsubashi Institute for Advanced Study) Discussion Paper E-72 2018 Bulletin of university, institute, etc. |
| 5. | Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets(jointly worked) Graduate School of Economics Hitotsubashi University Discussion Paper No.2016-04 2016 Bulletin of university, institute, etc. |
| 6. | Asymptotic Inference for Common Factor Models in the Presence of Jumps Graduate School of Economics Hitotsubashi University Discussion Paper No.2015-05 2015 Bulletin of university, institute, etc. |
| 7. | Time Instability of the US monetary system: Multiple Break Tests and Reduced Rank TVP VAR(jointly worked) Working Paper, University of Virginia 2012 Bulletin of university, institute, etc. |
Oral Presentation
| NO | Name of subject/Conference Name | Year | Site |
|---|---|---|---|
| 1. | The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence(Seminar (National Chengchi University)) | 2020.05 | National Chengchi University, Taiwan (online) |
| 2. | Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets (Nanyang Econometrics Workshop) | 2020.01 | Nanyang Technological University, Singapore |
| 3. | Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model(Applied Statistics and Econometrics Workshop and Data Science Workshop ) | 2019.11 | Tohoku University, Sendai, Japan |
| 4. | The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence(Macro Workshop) | 2019.11 | Waseda University, Tokyo, Japan |
| 5. | Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model(Economics Seminar) | 2019.10 | National Taipei University, New Taipei City, Taiwan |
| 6. | Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances(Helsinki Graduate School of Economics Seminar) | 2019.09 | Helsinki GSE, Helsinki, Finland |
| 7. | Testing Jointly for Structural Changes in the Error Variance and Coefficients of a Linear Regression Model(NBER-NSF Time Series Conference) | 2019.08 | Chinese University of Hong Kong, Hong Kong |
| 8. | Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets(15th International Symposium on Econometric Theory and Applications) | 2019.06 | Osaka University, Osaka Japan |
| 9. | Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets(Pi-Day Econometrics Conference at Boston University) | 2019.03 | Boston University, Boston, USA |
| 10. | *Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances(12th International Conference on Computational and Financial Econometrics) | 2018.12 | University of Pisa, Pisa, Italy |
| 11. | Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances(Midwest Econometric Conference) | 2018.10 | University of Wisconsin, Madison, USA |
| 12. | Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances(Econometrics Seminar) | 2018.10 | Boston University, Boston, USA |
| 13. | Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances(CIREQ Seminar) | 2018.10 | McGill University, Montreal, Canada |
| 14. | Identifying Factor-Augmented Vector Autoregression Models via Changes in Shock Variances(5th Conference of International Association for Applied Econometrics) | 2018.06 | University of Quebec Montreal, Montreal, Canada |
| 15. | Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets(Economic Seminar) | 2017.08 | Academia Sinica, Taipei, Taiwan |
| 16. | *Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions(Workshop on Advances in Econometrics 2017) | 2017.06 | Hakodate, Japan |
| 17. | Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions(4th Conference of International Association for Applied Econometrics) | 2017.06 | Sapporo, Japan |
| 18. | *Testing for Speculative Bubbles in Large-Dimensional Financial Panel Data Sets(Workshop on Macroeconomic and Financial Time Series Analysis) | 2017.06 | Lancaster University Management School, Lancaster, UK |
| 19. | Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions(10th International Conference on Computational and Financial Econometrics) | 2016.12 | Universidad de Sevilla, Spain |
| 20. | Testing for Speculative Bubbles in Large Dimensional Financial Panel Data Sets(Japan-Korea Allied Conference in Econometrics) | 2016.11 | Hitotsubashi University, Japan |
| 21. | Asymptotic Inference for Common Factor Models in the Presence of Jumps(12th International Symposium on Econometric Theory and Applications) | 2016.10 | University of Western Ontario, Canada |
| 22. | *Bootstrap Inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions(Hitotsubashi Summer Institute Workshop) | 2016.08 | Hitotsubashi University, Japan |
| 23. | Is the Renminbi a Safe Haven?(Twelfth Annual Conference of Asia-Pacific Economic Association) | 2016.07 | International Management Institute Kolkata, Kolkata, India |
| 24. | *Asymptotic Inference for Common Factor Models in the Presence of Jumps(The 25th South Taiwan Statistics Conference) | 2016.06 | National Sun Yat-sen University, Kaohsiung, Taiwan |
| 25. | *Asymptotic Inference for Common Factor Models in the Presence of Jumps(AJRC and HIAS Joint Conference on Recent Issues in Finance and Macroeconomics) | 2016.03 | The Australian National University, Canberra, Australia |
| 26. | Asymptotic Inference for Common Factor Models in the Presence of Jumps(Society for Nonlinear Dynamics and Econometrics 24th Annual Symposium) | 2016.03 | University of Alabama, Tuscaloosa, Alabama, USA |
| 27. | Asymptotic Inference for Common Factor Models in the Presence of Jumps(12th International Symposium on Econometric Theory and Applications) | 2016.02 | Waikato Management School, Hamilton, New Zealand |
| 28. | Asymptotic Inference for Common Factor Models in the Presence of Jumps(9th International Conference on Computational and Financial Econometrics) | 2015.12 | University of London, UK |
| 29. | Asymptotic Inference for Common Factor Models in the Presence of Jumps(Econometrics Seminar) | 2015.09 | Keio University, Japan |
| 30. | Asymptotic Inference for Common Factor Models in the Presence of Jumps(Japanese Joint Statistical Meeting) | 2015.09 | Okayama University, Japan |
| 31. | *Asymptotic Inference for Common Factor Models in the Presence of Jumps(Hitotsubashi Summer Institute) | 2015.08 | Hitotsubashi University, Japan |
| 32. | A Modified Confidence Set for the Structural Break Date in Linear Regression Models(The 2nd Conference of International Association for Applied Econometrics) | 2015.06 | University of Macedonia, Greece |
| 33. | *Intra-Safe Haven Currency Behavior During the Global Financial Crisis(International Conference on the New Normal in the Post-Crisis Era) | 2015.05 | City University of Hong Kong |
| 34. | A Modified Confidence Set for the Structural Break Date in Linear Regression Models(-) | 2015.01 | Osaka University, Japan |
| 35. | On Structural Change and Forecast Performance Stability in Japanese Phillips Curve Models(-) | 2015.01 | Research Center for Advanced Science and Technology, The University of Tokyo, Japan |
| 36. | *A Modified Confidence Set for the Structural Break Date in Linear Regression Models(Sogan-Hitotsubashi Conference on Econometrics) | 2014.12 | Sogan University, South Korea |
| 37. | Testing for Factor Loading Structural Change under Common Breaks(Canadian Econometric Study Group Annual Meeting) | 2014.10 | Simon Fraser University, Canada |
| 38. | A Modified Confidence Set for the Structural Break Date in Linear Regression Models(Summer Workshop on Economic Theory) | 2014.08 | Otaru University of Commerce, Japan |
| 39. | On Structural Change and Forecast Performance Stability in Japanese Phillips Curve Models(Macroeconomics Workshop) | 2014.06 | The University of Tokyo |
| 40. | Testing for Factor Loading Structural Change under Common Breaks(The 10th International Symposium on Econometric Theory and Applications) | 2014.05 | Academia Sinica |
| 41. | Testing for Factor Loading Structural Change under Common Breaks(The Applied Statistics Workshop) | 2014.05 | The University of Tokyo |
| 42. | Testing for Factor Loading Structural Change under Common Breaks(Society for Nonlinear Dynamics and Econometrics 22nd Annual Symposium) | 2014.04 | Baruch College CUNY, New York |
| 43. | *On Structural Change and Forecast Performance Stability in Japanese Phillips Curve(-) | 2014.03 | Hiroshima University of Economics, Japan |
| 44. | Testing for Factor Loading Structural Change Under Common Breaks(-) | 2014.01 | Development Bank of Japan |
| 45. | Large Versus Small Foreign Exchange Interventions(-) | 2014.01 | National Graduate Institute for Policy Studies, Japan |
| 46. | On Power Properties of Factor Loading Structural Change Tests under Common Breaks(-) | 2013.10 | Hiroshima University, Japan |
| 47. | On Power Properties of Factor Loading Structural Change Tests under Common Breaks(-) | 2013.09 | Boston University, USA |
| 48. | On Power Properties of Factor Loading Structural Change Tests under Common Breaks(Japanese Joint Statistical Meeting) | 2013.09 | Osaka University, Japan |
| 49. | Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series(Econometric Society European Meeting) | 2013.08 | The University of Gothenburg, Sweden |
| 50. | Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series(Econometric Society Asian Meeting) | 2013.08 | National University of Singapore |
| 51. | Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series(The 9th International Symposium on Econometric Theory and Applications) | 2013.07 | Sungkyunkwan University, South Korea |
| 52. | Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series(Econometric Society Australasian Meeting) | 2013.07 | The University of Sydney, Australia |
| 53. | Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series(2013 Spring Meeting (Japanese Economic Association)) | 2013.06 | University of Toyama |
| 54. | On Power Properties of Factor Loading Structural Change Tests under Common Breaks(-) | 2013.05 | Kyoto University, Japan |
| 55. | *Estimating and Testing Multiple Structural Changes in Linear Models by Band Spectral Regressions(Western Economic Association 10th Biennial Pacific Rim Conference) | 2013.03 | Keio University, Japan |
| 56. | *Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series(International Conference "Frontiers in Macroeconometrics") | 2013.03 | Hitotsubashi University, Japan |
| 57. | Forecasting with Non-spurious Factors in U.S. Macroeconomic Time Series(-) | 2013.01 | Hitotsubashi University, Japan |
| 58. | On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests(2012 Hitotsubashi-Sogan Conference on Econometrics) | 2012.11 | South Korea |
| 59. | Time Instability of the US monetary system: Multiple Break Tests and Reduced Rank TVP VAR(The 11th World Meeting of the International Society for Bayesian Analysis) | 2012.06 | Kyoto, Japan |
| 60. | *Bootstrap inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions(Spring Meeting (Japan Association for Applied Economics)) | 2012.06 | Fukuoka University, Japan |
| 61. | Estimating and Testing Multiple Structural Changes in Linear Models by Band Spectral Regressions(Canadian Econometric Study Group Meeting) | 2011.10 | Ryerson University, Toronto, Canada |
| 62. | Bootstrap inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions(2011 North American Summer Meeting of Econometric Society) | 2011.06 | Washington University in St. Louis, St. Louis, MO, USA |
| 63. | Bootstrap inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions(The 5th CIREQ Time Series Conference) | 2011.05 | University of Montreal, Montreal, Canada |
| 64. | Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors(-) | 2011.02 | Hitotsubashi University, Japan |
| 65. | Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors(-) | 2010.12 | Nagoya University, Japan |
| 66. | Bootstrap inference for Impulse Response Functions in Factor-Augmented Vector Autoregressions(Canadian Econometric Study Group Meeting) | 2010.10 | The University of British Columbia, Vancouver, Canada |
Scientific Research Funds Results
| NO | Research subject | Research item | Year |
|---|---|---|---|
| 1. | Scientific Research (C) | 2019-2021 | |
| 2. | Scientific Research (C) | 2016-2018 | |
| 3. | Young Scientists (B) | 2013-2015 | |
| 4. | Scientific Research (A) | 2017-2019 | |
| 5. | Scientific Research (A) | 2013-2016 | |
| 6. | Scientific Research (B) | 2013-2015 | |
| 7. | Scientific Research (A) | 2012-2015 |
